This paper investigates the problem of constructing prediction regions for forecast trajectories 1 to H periods into the future—a path forecast. When the null model is only approximative, or completely unavailable, one cannot either derive the usual analytic expressions or resample from the...

Multi-step-ahead forecasts of the forecast uncertainty of an individual forecaster are often based on the horizon-specific sample means of his recent squared forecast errors, where the number of past forecast errors available decreases one-to-one with the forecast horizon. In this paper, the...

Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...